Before you go anywhere, access the main menu and select Config. Change the Msg. Speed setting to 1, and change Cursor from Reset to Memory. It's a preference thing really, but it will be helpful later on.
Go straight up and into the mines, fighting off the weak guards as you go (use ??????'s Magitek Bio Blast to take them out fast, while topping up your health with Heal Force).
Take the first left and use the save point via the menu, then move on up (Note: avoid Bio Blast now, since it will heal the Were-Rats; use TekMissile and/or Fire Beam instead). You'll now face your first boss battle.